GIIPS国家的购买力平价：具有中断和非线性的单位根检验的证据

IF 2.5 3区经济学 Q2 ECONOMICS

Applied Economic Analysis Pub Date : 2021-10-11 DOI:10.1108/aea-10-2020-0146

Ş. Nazlıoğlu, Mehmet Altuntaş, Emre Kilic, Ilhan Kucukkkaplan

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引用次数: 0

摘要

本文旨在对希腊、意大利、爱尔兰、葡萄牙和西班牙这四个被称为GIIPS国家的购买力平价(PPP)假设进行检验。设计/方法/方法作者通过使用单位根方法进行了全面的分析，没有和有结构断裂和非线性。PPP对GIIPS国家是有效的。考虑结构断裂在非线性框架中的作用至关重要。原创性/价值没有实证研究通过关注GIIPS国家来检验购买力平价假说。本研究进一步考虑了这些国家的结构性断裂和实际汇率的非线性。

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Purchasing power parity in GIIPS countries: evidence from unit root tests with breaks and non-linearity

Purpose This paper aims to test purchasing power parity (PPP) hypothesis for Greece, Italy, Ireland, Portugal and Spain, which are known as the GIIPS countries. Design/methodology/approach The authors conduct a comprehensive analysis by using unit root approaches without and with structural breaks and non-linearity. Findings The PPP is valid for the GIIPS countries. Considering structural breaks in non-linear framework plays a crucial role. Originality/value There is no empirical study testing PPP hypothesis by focusing on the GIIPS countries. This study further takes into account for structural breaks and non-linearity in the real exchange rates of these countries.

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来源期刊

Applied Economic Analysis Economics, Econometrics and Finance-Economics, Econometrics and Finance (all)

CiteScore

3.50

自引率

4.30%

发文量

审稿时长

8 weeks